Impulse-response functions in Markov-switching structural vector autoregressions: A step further

C-Tier
Journal: Economics Letters
Year: 2010
Volume: 106
Issue: 3
Pages: 162-165

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Ehrmann et al. (2003) proposed an IRF in the frame of Markov-switching structural VARs. Their IRF provides insights on the dynamics within the regime in which the shock occurs. We propose an IRF that captures the global response of the system and illustrate its use with examples.

Technical Details

RePEc Handle
repec:eee:ecolet:v:106:y:2010:i:3:p:162-165
Journal Field
General
Author Count
1
Added to Database
2026-01-25